Duality theory for optimal investments under model uncertainty

By Alexander Schied, Ching-Tang Wu. 2005

89 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4f230875ba82e5e41e6952078262448aca760fe6

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Citations in the corpus

Robust utility maximization in a stochastic factor model (2006, background): “In the vast majority of the corresponding literature it is assumed that the optimality criterion is based on a classical expected utility functional of the form X 7−→ E[ U(X) ], (1) where U is a utility function.”
A Stochastic Control Approach to a Robust Utility Maximization Problem (2007, background): “Some results in this area have been obtained in [10], [16] and [18], among others, and the overall approach relies a lot on convex duality ideas.”
INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2009, background): “As a consequence of the convexity of the function (z, k) → zΦ((1) z k) on R+ × R+(which has been pointed out by [SW05], Section 3) we deduce”
Risk Measures and Robust Optimization Problems (2006, methodology): “It was extended to the general case by Schied and Wu[64]; see also Föllmer and Gundel[30] for a different technique and Schied[63] for a further extension.”
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, unknown): “Optimal investment problems for robust utility functionals (1) were considered by, among others, Talay and Zheng [29], Quenez [23], Schied [24,25], Burgert and Rüschendorf [5], Schied and Wu [27], Föllmer and Gundel [10], and the authors [15].”
Utility maximization under a shortfall risk constraint (2008, background): “Solutions to robust utility maximization problems without a risk constraint can be found in Quenez (2004), Gundel (2005), Föllmer & Gundel (2006), Schied (2005), and Schied & Wu (2005) .”
Robust projections in the class of martingale measures (2006, background): “Recently Quenez [36] and Schied and Wu [41] have extended this version of the duality approach from the classical case with Q = {Q0} to the robust case.”